Quickest detection problems: fifty years later
DOI10.1080/07474946.2010.520580zbMATH Open1203.62137OpenAlexW2037665200MaRDI QIDQ3068080FDOQ3068080
Authors: Albert N. Shiryaev 
Publication date: 13 January 2011
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474946.2010.520580
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Brownian motiondisorderdisruptionsufficient statisticsfree-boundary problemsquickest detectionminimax formulationBayesian formulation\(\pi\)-, \(\psi \)-, and CUSUM processesdiscrete-time \(\theta \)- and \(G\)-modelsmultistage scheme and proceduresspontaneously appearing effects
Bayesian inference (62F15) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)
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Cited In (29)
- On stochastic models and optimal methods in the quickest detection problems
- Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
- Quickest detection of changes in the generating mechanism of a time series via the \(\epsilon\)-complexity of continuous functions
- Quickest drift change detection in Lévy-type force of mortality model
- Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs
- Quickest real-time detection of multiple Brownian drifts
- Quickest detection of an accumulated state-dependent change point
- Sequential negative binomial problems and statistical ecology: a selected review with new directions
- Shewhart's idea of predictability and modern statistics
- Quickest detection of a hidden target and extremal surfaces
- Bayesian quickest detection problems for some diffusion processes
- Quickest detection problems for Bessel processes
- Discussion on ``Change-points: from sequential detection to biology and back by David Siegmund
- Sequential tracking of an unobservable two-state Markov process under Brownian noise
- An algorithm to solve optimal stopping problems for one-dimensional diffusions
- Optimal execution with multiplicative price impact and incomplete information on the return
- Model misspecification in discrete time Bayesian online change detection
- Quickest detection with discretely controlled observations
- Quickest Detection
- Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics
- Detecting changes in real-time data: a user's guide to optimal detection
- State-of-the-art in sequential change-point detection
- Detection and estimation of multiple transient changes
- Quickest detection of a state-dependent change-point in discrete time
- Testing randomness online
- New approach to the segmentation problem for time series of arbitrary nature
- Bayesian quickest detection in sensor arrays
- Quickest real-time detection of a Brownian coordinate drift
- A remark on the quickest detection problems
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